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研究生:陳威
研究生(外文):Chen, Wei
論文名稱:歐元選擇權定價與交易策略
論文名稱(外文):Pricing and Trading Strategies of Euro FX Options
指導教授:蔡子晧蔡子晧引用關係
指導教授(外文):Tsai, Tzu Hao
學位類別:碩士
校院名稱:國立清華大學
系所名稱:計量財務金融學系
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2016
畢業學年度:104
語文別:英文
論文頁數:27
中文關鍵詞:美式選擇權定價LSMgain-loss ratio選擇權價格區間交易策略
外文關鍵詞:American options pricingLSMgain-loss ratiooptionspricing boundstrading strategies
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本篇論文透過結合美式選擇權定價理論和交易策略,探討芝加哥交易所的歐元兌美元選擇權(EC)其合約結構以及資料特性,並利用最小平方蒙地卡羅法(LSM)算出美式選擇權價值,過程中透過EGARCH模型估計LSM內的波動率參數,最後將LSM與Bernardo and Ledoit (2000)的gain-loss ratio做結合設計出交易策略,進而找出半套利價格空間。套利方式是透過主觀的風險意識下設定gain-loss ratio,我們能找出選擇權的合理價格區間,當市場價格脫離此價格區間時,價格高於上界做該選擇權賣方;價格低於下界則坐該選擇權的買方。
實證結果發現,當gain-loss ratio設定越高,選擇權價格區間越寬,交易頻率下降,發生極端損失的期望值也會有效下降,此外,提高波動率更新的頻率也能有效降低歐元選擇權交易策略的風險及提升報酬率;將交易策略套用於歐元選擇權遠月合約其報酬績效與風險比近月合約表現更佳。

The purpose of this paper is to evaluate the value of Euro FX options (EC) which is available at CME Group exchanges by combining the option pricing theory with practical trading strategy. By using Least-Squares Method (LSM) of Longstaff and Schwartz (2001) to estimate its early exercising value and using EGARCH model to estimate its volatility, we then combines LSM algorithm with the gain-loss ratio of Bernardo and Ledoit (2000) to create the trading strategies. Then we compare the pricing bounds with real trading prices to find existence of semi-arbitrage opportunities.
The empirical results show that the higher the gain-loss ratio we set, the wider the option bounds we get. The wider pricing bounds lower trading frequency, but decrease the numbers of extreme loss. Meanwhile, using higher frequency data to estimate volatilities would reduce the risk and increase the trading performance; the trading strategies perform better on the back month Euro FX options than the front month Euro FX options.

摘要 i
ABSTRACT ii
CONTENTS iii
LIST OF TABLES iv
LIST OF FIGURES v
Chapter 1 Introduction.............................1
Chapter 2 Methodology..............................2
2.1 Volatility Models.......................3
2.2 LSM algorithm...........................4
2.3 The Gain-Loss Ratio.....................6
2.4 Gain-Loss Pricing Bound................7
Chapter 3 Data.....................................8
3.1 Euro FX Options Contract Specifications.8
3.2 Descriptive Statistics of Data.........10
3.3 The Volatility of Data.................13
Chapter 4 Empirical Analysis......................15
4.1 Portfolio Strategies...................15
4.2 Performance on different sample period of volatility estimation........................................17
4.3 Performance on front month and back month data..............................................20
Chapter 5 Conclusion.............................23
5.1 Conclusion........................23
5.2 Research limitations..........................24
Appendix..........................................25
References........................................27

1. Bernardo, Antonio E., and Olivier Ledoit. "Gain, loss, and asset pricing." Journal of political economy 108.1 (2000): 144-172.
2. Black, Fischer, and Myron Scholes. "The pricing of options and corporate liabilities." The journal of political economy (1973): 637-654.
3. Bliss, Robert R., and Nikolaos Panigirtzoglou. "Option‐implied risk aversion estimates." The journal of finance 59.1 (2004): 407-446.
4. Brennan, Michael J. "The pricing of contingent claims in discrete time models." The journal of finance 34.1 (1979): 53-68.
5. Cochrane, John H., and Jesus Saa-Requejo. Beyond arbitrage:" Good-Deal" asset price bounds in incomplete markets. No. w5489. National Bureau of Economic Research, 1996.
6. Engle, Robert. "GARCH 101: The use of ARCH/GARCH models in applied econometrics." The Journal of Economic Perspectives 15.4 (2001): 157-168.
7. Jackwerth, Jens Carsten. "Option-implied risk-neutral distributions and risk aversion." (2004): 1-86.
8. Longstaff, Francis A., and Eduardo S. Schwartz. "Valuing American options by simulation: a simple least-squares approach." Review of Financial studies 14.1 (2001): 113-147.
9. Nelson, Daniel B. "Conditional heteroskedasticity in asset returns: A new approach." Econometrica: Journal of the Econometric Society (1991): 347-370.
10. Tsai, J. T., Huang, Y. L. and Yang, S. S. (2013). "Price Bounds of Mortality-Linked Security in Incomplete Insurance Market." American Risk and Insurance Association 2013 Annual Meeting, Washington, DC.

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